High Frequency Currency Programme
Overlay Asset Management’s High-Frequency Currency program is based on the DAVOS (Dynamically Adjustable VOlatility Strategy) strategy. DAVOS is a short-term trend-following strategy applied to major and most liquid currencies (EUR, USD, JPY, AUD, and GBP). The strategy is purely quantitative and based on the analysis of hourly prices. Positions have an average duration of 36 to 48 hours but under certain conditions positions can last as little as less than one hour or as much as several weeks.
The High Frequency Strategy can be accessed via a managed account, where the target risk, target return and other factors can be customised to meet the investor’s specific needs.